Glaser, Sven2013-08-302013-08-302013-08-30http://hdl.handle.net/2003/3056910.17877/DE290R-10749We prove a law of large numbers for the power variation of an integrated fractional process in a pure jump model. This yields consistency of an estimator for the integrated volatility where we are no longer restricted to a Gaussian model.enDiscussion Paper / SFB 823;31/2013estimation of the integrated volatilityfractional Lévy processesinfinitely divisible distributionslimit theoremspower variation310330620working paper